Principal Component Analysis to Determine Main Factors Stock Price of Consumer Goods Industry

摘要

The ability to predict the stock price is the important factor in achieving the profit in stock investment, and the prediction is usually done by relating the price of a stock to factors that influence it. The problem is, there are a large number of variables that can be used to predict the stock prices so it is difficult for a potential investor to choose which variables should be used in predicting the stock prices. This research used the Principal Component Analysis as the dimension reduction method to form major components that influence the stock prices without losing the information and uses data from five companies which have the highest market capitalization that listed in the Consumer Goods Sector of the Indonesia Stock Exchange: Companies A, B, C, D, and E. Using Principal Component Analysis, this research reduces eighteen variables into factors that influence the stock price the most. Result shows that Profitability Ratio has a high contribution in determining stock price.